irregulAR1 (version 1.0.0)

dprecchol_drho: Derivative of the upper Cholesky triangle of the precision matrix of a stationary Gaussian AR(1) process.

Description

Creates the derivate of the upper Cholesky triangle of the precision matrix of an AR(1) process with respect to the parameter rho.

Usage

dprecchol_drho(U, dQ)

Arguments

U

The upper Cholesky triangle of the precision matrix Q of the AR(1) process.

dQ

The derivative of the precision matrix Q with respect to the correlation parameter rho.

Value

A band 1 upper triangular matrix of the same dimensions as U.

Examples

# NOT RUN {
library(Matrix)
t <- c(1, 3:4, 6, 8)
r <- 0.5
s <- 1
U <- ar1_prec_chol_irregular(t, r, s)
dQ <- dprec_drho(t, r, s)
(dU <- dprecchol_drho(U, dQ))
# }